# Part 2 Section B.1. Risk and Return　リスクとリターン

## Risk　リスク

• Interest Rate Risk (price risk)
• Reinvestment Rate Risk
• Liquidity Risk (Marketability Risk)
• Foreign Exchange Risk
• Credit, or Default, Risk
• Political Risk
• Expropriation Risk
• Total Risk
• 単体の資産 (a single asset) で他の資産とのバランスを取らないために被る期待収益値のばらつき。standalone risk ともいう
• The standard deviation of probable expected future returns of a security
• Unsystematic Risk
• it can be reduced through appropriate diversification of investment in a portfolio.
• 分散化したポートフォリオを組むことで回避できる
• Systematic Risk
• Market Risk
• Industry Risk
• 分散化したポートフォリオを組んでも回避できない
• covariance between the security returns and the general market

## Capital Asset Pricing Model (CAPM)　資本資産価格モデル

### 定義

(1) $$\displaystyle \bf R = R_F + \beta (R_M – R_F)$$

(2) $$\displaystyle \bf R -R_F = \beta (R_M – R_F)$$

$$\displaystyle \bf Where: \begin{eqnarray*} R & = & Investors’~required~rate~of~return \\ R_F & = & Risk-free~rate~of~return \\ \beta & = & Beta~coefficient \\ R_M & = & Expected~rate~of~return~for~the~market~portfolio \end{eqnarray*}$$

• β < 0
• ポートフォリオは、市場全体と完全に反対に動く
• β = 0
• ポートフォリオは、市場全体と無相関である
• 通常βゼロは、risk-freeの金融商品であることを意味する
• 0 < β < 1.0
• ポートフォリオは、市場全体よりボラティリティが低い（より安全である）
• β＝1.0
• ポートフォリオは、市場全体と同様のシステマチックリスクを抱えている
• ポートフォリオは、市場全体と完全相関(perfectly correlated)にある
• 1.0 < β
• ポートフォリオは、市場全体よりボラティリティが高い（よりリスキーである）

#### β の定義

Beta is a measure of an investment’s volatility in relation to the market’s volatility.

The beta of the market as a whole is 1.0.

A stock that increases and decreases to a greater extent than the market has a beta that is greater than 1.0.

A stock that increases and decreases to a lesser extent than the market has a beta that is less than 1.0.

High beta stocks are risker than low beta stocks because they are more volatile, but they have a potential for higher returns and also for greater losses.

#### βに影響を与える要素

• The industrythat the division undertaking the project is in and its risk characteristics.
• Experience the division has with similar projects, if any.
• Ability of the division to realize estimated returns on projects in the past.
• Strength of the management team of the division.
• Level of competition expected.
• The geographical location of the project. Certain countries are more risky to operate in than others.
• The degree to which the project involves new technology or unproven operating conditions.

### ポートフォリオ セオリー

1. U.S. Treasury Bonds
2. First Mortgage Bonds
3. Second Mortgage Bonds
4. Subordinated Debentures
5. Income Bonds
6. Preferred Stock
7. Convertible Preferred Stock
8. Common Stock
Section B 企業財務
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